If local governments reduce greenhouse gas emissions, they will not see effects unless a very large number of other actors do the same. However, reducing greenhouse gas emissions can have multiple local “co-benefits” (improved air quality, energy savings, even energy security), creating incentives for local governments to reduce emissions—if just for the local side-effects of doing so. Available empirical research yet shows a large gap between co-benefits as a rationale and an explanatory factor for climate mitigation by local governments: co-benefits are seemingly very large, but do not seem to drive local mitigation efforts. Relying on policy documents, available research, and other written sources, the present paper consists of a multiple case study addressing the link between co-benefits and climate mitigation in Moscow, Paris, and Montreal. Air quality plays a very different role in each case, ranging from a key driver of mitigation to a liability for local climate action. This heterogeneity of mechanisms in place emerges as a likely explanation for the lack of a clear empirical link between co-benefits and local mitigation in the literature. We finally discuss implications for urban climate action policy and research.